ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

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Atıf İçin Kopyala

Ozbek L., Babacan E.

COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS, cilt.64, sa.2, ss.111-121, 2015 (ESCI)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 64 Sayı: 2
• Basım Tarihi: 2015
• Doi Numarası: 10.1501/commua1-2_0000000738
• Dergi Adı: COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS
• Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
• Sayfa Sayıları: ss.111-121
• Anahtar Kelimeler: Non-linear state space models, Extended Kalman filter, Optimal linear regulator, EXTENDED KALMAN FILTER, FEDERAL-RESERVE, STABILITY
• Ankara Üniversitesi Adresli: Evet

Özet

In this paper, we employ a non-linear state space model and the extended Kalman filter to simultaneously estimate the time-varying parameters in an optimal control problem, where the objective (loss) function is quadratic. Our methodology also allows us to derive the difference between the optimal control and the observed control variable. A simulation exercise based on a simple intertemporal model shows that the estimated parameter values are very close to their population values, which provide further support for the estimation methodology introduced in this paper.